Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1906
Annualized Std Dev 0.2795
Annualized Sharpe (Rf=0%) -0.6820

Row

Daily Return Statistics

Close
Observations 3274.0000
NAs 1.0000
Minimum -0.3440
Quartile 1 -0.0088
Median -0.0010
Arithmetic Mean -0.0007
Geometric Mean -0.0008
Quartile 3 0.0072
Maximum 0.1348
SE Mean 0.0003
LCL Mean (0.95) -0.0013
UCL Mean (0.95) -0.0001
Variance 0.0003
Stdev 0.0176
Skewness -1.8973
Kurtosis 48.8765

Downside Risk

Close
Semi Deviation 0.0128
Gain Deviation 0.0127
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0178
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.9633
Historical VaR (95%) -0.0243
Historical ES (95%) -0.0404
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0206
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-12 NA -0.9633 2836 2830 NA
2008-10-28 2008-11-04 2008-11-19 -0.1696 17 6 11
2008-01-28 2008-09-19 2008-10-06 -0.1563 175 164 11
2007-03-06 2007-10-05 2007-11-19 -0.1149 169 138 31
2008-10-10 2008-10-13 2008-10-23 -0.1041 10 2 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -2.2 0.5 0.4 -0.4 -0.8 -0.5 0.6 -1.5 -2.1 3.9 -0.1 0.7 -1.5
2008 -2.8 2.7 -3.3 -2.1 -0.3 0.6 -0.3 1 1.4 -7 12.1 -2.9 -2.1
2009 1.7 1 -0.1 0.3 -4.5 -2.1 -0.3 2.2 3 2.6 -1.4 1.5 3.7
2010 -1.1 -2 -0.8 2.7 2.7 0.7 0 -3.7 -0.5 0.7 -2.1 1.1 -2.5
2011 -2 1.6 -0.1 -0.3 2.7 -1.8 0.7 2.1 2.3 3.7 0.1 0.6 9.7
2012 -2 -0.8 -0.1 -0.2 3.2 -3 0.8 -0.5 0.1 -1.3 0.1 -1.8 -5.5
2013 -1.7 -0.3 1.1 2.4 0.6 -1 -1.4 1.3 -1 0.7 0.3 0.1 0.9
2014 0.9 -0.2 -0.8 0.6 0.3 -1.6 0.9 -0.5 1.7 -1.2 2.6 1.7 4.4
2015 -0.1 -0.3 0.2 2.3 0.1 2.7 0.1 2.9 0.5 -0.2 -2.4 2.4 8.5
2016 -1.1 -0.9 -1.5 0.7 -0.9 -3.3 0.7 1.5 -0.9 3.3 0.6 -0.2 -2
2017 -0.8 -1.6 -0.3 -0.1 -1.3 1 -0.2 0.5 -1.4 1.3 0.9 0.6 -1.6
2018 0.3 0.3 -1.2 -0.1 -2.4 0.3 -0.1 0.2 1.5 -1.5 0.2 -0.3 -2.7
2019 0.1 -0.5 -1.2 0.8 1.3 -0.1 1.7 0 1.9 -1.6 0.5 -0.4 2.5
2020 2.3 2.1 6.8 4.1 -1 1.6 0.7 -1 -1.2 1.5 -1.5 -0.1 14.8
2021 -1.8 -2.8 -0.3 NA NA NA NA NA NA NA NA NA -4.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-25  278. SPY    142. -1.17e-2  -0.002    0.0045   0.0348    0.124    0.243    0.256 GLD    64.1 -0.0042   0.0289
2 2007-01-29  280. SPY    142. -8.00e-4  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -0.0051   0.0167
3 2007-01-30  277. SPY    143.  5.20e-3  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  0.0071  -0.0002
4 2007-02-01  271. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
5 2007-02-05  272. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
6 2007-02-06  273. SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart